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rejectedregime_dependent· equity· dispersion· regime· timing

Cross-Sectional Dispersion Trading (JP All Stocks)

slug: dispersion-jp-all

Cross-Sectional Dispersion Trading (JP All Stocks) backtest. Median Sharpe across 384 parameter sets is -0.19. p-value is 0.33. Max DD is -35.3%. Period: 2022-03-01 to 2026-09-01. Best Sharpe +0.97 is not the representative figure.

Verdict: rejected. The median reaches neither promising (Sharpe > 0.5 and p-value < 0.05) nor marginal (Sharpe > 0.05 and best p-value < 0.10). Results split across up, flat, and down markets, so the median is not stable.

Performance summary

Sharpe (median)
-0.19
Max DD
-35.3%
Win rate
—
Alpha (ann.)
—
p-value
0.33
backtest period: 2022-03-01 → 2026-09-01
Sharpe across 384 grid runs:median -0.19best 0.97 (not representative)worst -1.53p25–p75 -0.65–0.11

Hypothesis

Stivers (2010), Jiang (2010): cross-sectional return dispersion as a market timing signal. Testing on the full Japanese stock universe.

Why it didn't work

Across 384 grid combinations, median Sharpe=-0.19, best=0.97. Primary failure mode: regime_dependent.

Facts (5)

Best grid Sharpe ratio is 0.97 (p=0.039).
period 2022-03-01–2026-09-01; cost=5bps
sharpe_ratio0.97
cite ↗ /cite/dispersion-jp-all-fact-best-sharpevia r-dispersion-jp-all-0208
Median Sharpe across 384 grid runs is -0.19.
Full grid of 384 parameter combinations.
sharpe_ratio-0.19
cite ↗ /cite/dispersion-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is -1.06 across 384 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-1.06
cite ↗ /cite/dispersion-jp-all-fact-regime-down
Median Sharpe in FLAT regime is 0.01 across 384 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.01
cite ↗ /cite/dispersion-jp-all-fact-regime-flat
Median Sharpe in UP regime is -0.30 across 384 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.30
cite ↗ /cite/dispersion-jp-all-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=5, cost_bps=5
r-dispersion-jp-all-0000
cost_bps: 5
n_stocks: 5
base_signal: "momentum_20"
-0.99-1.18-0.67-1.70
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=5, cost_bps=10
r-dispersion-jp-all-0001
cost_bps: 10
n_stocks: 5
base_signal: "momentum_20"
-1.05-1.24-0.71-1.77
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=10, cost_bps=5
r-dispersion-jp-all-0002
cost_bps: 5
n_stocks: 10
base_signal: "momentum_20"
-0.97-1.22-0.53-2.83
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=50, cost_bps=5
r-dispersion-jp-all-0006
cost_bps: 5
n_stocks: 50
base_signal: "momentum_20"
-0.56-1.28+0.20-1.30
dispersion_window=10, holding_days=5, base_signal=momentum_60, n_stocks=5, cost_bps=5
r-dispersion-jp-all-0008
cost_bps: 5
n_stocks: 5
base_signal: "momentum_60"
-0.15-1.04+0.68-1.10
dispersion_window=10, holding_days=5, base_signal=mean_reversion, n_stocks=5, cost_bps=5
r-dispersion-jp-all-0016
cost_bps: 5
n_stocks: 5
base_signal: "mean_reversion"
+0.90+0.82+0.60+1.94
dispersion_window=10, holding_days=5, base_signal=mean_reversion, n_stocks=50, cost_bps=5
r-dispersion-jp-all-0022
cost_bps: 5
n_stocks: 50
base_signal: "mean_reversion"
-0.91-0.93-1.22+0.01
dispersion_window=10, holding_days=10, base_signal=momentum_60, n_stocks=50, cost_bps=10
r-dispersion-jp-all-0039
cost_bps: 10
n_stocks: 50
base_signal: "momentum_60"
+0.29+0.07+0.90-1.54
dispersion_window=10, holding_days=20, base_signal=momentum_20, n_stocks=5, cost_bps=10
r-dispersion-jp-all-0049
cost_bps: 10
n_stocks: 5
base_signal: "momentum_20"
-1.53-1.08-1.24-8.11
dispersion_window=10, holding_days=20, base_signal=momentum_60, n_stocks=5, cost_bps=10
r-dispersion-jp-all-0057
cost_bps: 10
n_stocks: 5
base_signal: "momentum_60"
-0.29-0.56-0.04+0.06
dispersion_window=10, holding_days=60, base_signal=momentum_20, n_stocks=5, cost_bps=5
r-dispersion-jp-all-0072
cost_bps: 5
n_stocks: 5
base_signal: "momentum_20"
-0.34-0.37-0.19-1.08
dispersion_window=10, holding_days=60, base_signal=momentum_20, n_stocks=10, cost_bps=10
r-dispersion-jp-all-0075
cost_bps: 10
n_stocks: 10
base_signal: "momentum_20"
-0.03-0.09+0.15-1.26
dispersion_window=10, holding_days=60, base_signal=mean_reversion, n_stocks=20, cost_bps=5
r-dispersion-jp-all-0092
cost_bps: 5
n_stocks: 20
base_signal: "mean_reversion"
+0.29+0.61-0.03+0.25
dispersion_window=20, holding_days=5, base_signal=momentum_60, n_stocks=20, cost_bps=10
r-dispersion-jp-all-0109
cost_bps: 10
n_stocks: 20
base_signal: "momentum_60"
-0.45-1.10+0.59-2.17
dispersion_window=20, holding_days=10, base_signal=momentum_20, n_stocks=50, cost_bps=5
r-dispersion-jp-all-0126
cost_bps: 5
n_stocks: 50
base_signal: "momentum_20"
+0.02-0.02+0.25-0.93
dispersion_window=20, holding_days=10, base_signal=mean_reversion, n_stocks=50, cost_bps=10
r-dispersion-jp-all-0143
cost_bps: 10
n_stocks: 50
base_signal: "mean_reversion"
-0.94-0.76-1.62+0.02
dispersion_window=20, holding_days=20, base_signal=mean_reversion, n_stocks=5, cost_bps=5
r-dispersion-jp-all-0160
cost_bps: 5
n_stocks: 5
base_signal: "mean_reversion"
+0.43+0.47+0.63+0.06
dispersion_window=20, holding_days=60, base_signal=momentum_60, n_stocks=5, cost_bps=10
r-dispersion-jp-all-0177
cost_bps: 10
n_stocks: 5
base_signal: "momentum_60"
-0.40-0.48-0.58+0.55
dispersion_window=40, holding_days=5, base_signal=momentum_20, n_stocks=10, cost_bps=5
r-dispersion-jp-all-0194
cost_bps: 5
n_stocks: 10
base_signal: "momentum_20"
-0.97-1.22-0.53-2.83
dispersion_window=40, holding_days=5, base_signal=mean_reversion, n_stocks=5, cost_bps=5
r-dispersion-jp-all-0208
cost_bps: 5
n_stocks: 5
base_signal: "mean_reversion"
+0.97+0.82+0.60+2.88
dispersion_window=40, holding_days=5, base_signal=mean_reversion, n_stocks=20, cost_bps=5
r-dispersion-jp-all-0212
cost_bps: 5
n_stocks: 20
base_signal: "mean_reversion"
-0.02+0.10-0.08-0.21
dispersion_window=40, holding_days=10, base_signal=momentum_60, n_stocks=20, cost_bps=10
r-dispersion-jp-all-0229
cost_bps: 10
n_stocks: 20
base_signal: "momentum_60"
+0.04-0.41+0.84-1.73
dispersion_window=40, holding_days=20, base_signal=momentum_20, n_stocks=50, cost_bps=5
r-dispersion-jp-all-0246
cost_bps: 5
n_stocks: 50
base_signal: "momentum_20"
-0.31+0.05-0.11-1.83
dispersion_window=40, holding_days=20, base_signal=mean_reversion, n_stocks=50, cost_bps=10
r-dispersion-jp-all-0263
cost_bps: 10
n_stocks: 50
base_signal: "mean_reversion"
-0.64-0.70-0.45-1.38
dispersion_window=40, holding_days=60, base_signal=mean_reversion, n_stocks=5, cost_bps=5
r-dispersion-jp-all-0280
cost_bps: 5
n_stocks: 5
base_signal: "mean_reversion"
+0.42+0.25+0.80+0.41
dispersion_window=60, holding_days=5, base_signal=momentum_20, n_stocks=5, cost_bps=5
r-dispersion-jp-all-0288
cost_bps: 5
n_stocks: 5
base_signal: "momentum_20"
-0.99-1.18-0.67-1.70
dispersion_window=60, holding_days=5, base_signal=momentum_60, n_stocks=10, cost_bps=5
r-dispersion-jp-all-0298
cost_bps: 5
n_stocks: 10
base_signal: "momentum_60"
-0.46-0.97+0.18-1.50
dispersion_window=60, holding_days=10, base_signal=momentum_20, n_stocks=10, cost_bps=10
r-dispersion-jp-all-0315
cost_bps: 10
n_stocks: 10
base_signal: "momentum_20"
-0.99-1.14-0.54-3.77
dispersion_window=60, holding_days=10, base_signal=mean_reversion, n_stocks=20, cost_bps=5
r-dispersion-jp-all-0332
cost_bps: 5
n_stocks: 20
base_signal: "mean_reversion"
-0.04+0.47-0.56-0.07
dispersion_window=60, holding_days=20, base_signal=momentum_60, n_stocks=20, cost_bps=10
r-dispersion-jp-all-0349
cost_bps: 10
n_stocks: 20
base_signal: "momentum_60"
-0.44-0.71+0.16-2.96

Target universe

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks

Related strategies

same_strategy:dispersion-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-26T05:59:53
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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